Strategy Zoo / S0034
LongTermTrend_V0034
ARCHIVEDtrend_followingstructuralreduce exposure to 34% during EXTREME
Fitness
0.4027
Generation
1
Complexity
5
Created
2026-09-18
Lineage
Parents (1)
seed strategy
Children (4)
Strategy Logic (pseudocode)
# LongTermTrend_V0034 [trend_following]
if flat and (close > sma_200 and sma_200_slope > 0.0):
position = 1.0
if long and close < sma_200:
position = 0.0 # exit to cash
if regime.bubble == "EXTREME": position *= 0.34Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 5.2% | 60.6% | -15.4% | 8.8% |
| Total Return | 50.3% | 314.6% | -46.1% | 245.9% |
| Sharpe | 0.32 | 1.19 | -0.31 | 0.41 |
| Sortino | 0.31 | 1.53 | -0.35 | 0.45 |
| Calmar | 0.08 | 1.31 | -0.27 | 0.12 |
| Volatility | 33.4% | 50.9% | 34.5% | 37.9% |
| Max DD | -64.0% | -46.2% | -57.0% | -71.0% |
| Win Rate | 10.3% | 30.8% | 13.0% | 16.9% |
| Avg Win | 111.8% | 110.9% | 11.9% | 74.4% |
| Avg Loss | -5.6% | -5.3% | -4.5% | -5.0% |
| Payoff | 10.00 | 10.00 | 2.62 | 10.00 |
| Expectancy | 6.5% | 30.5% | -2.4% | 8.5% |
| Profit Factor | 2.30 | 9.38 | 0.39 | 3.05 |
| Trades | 29 | 13 | 23 | 65 |
| Avg Holding Days | 36.6 | 44.4 | 19.3 | 32.5 |
| Turnover | 8.5 | 12.6 | 14.2 | 10.7 |
| Exposure | 49.4% | 62.0% | 41.7% | 50.1% |
Growth of $100
LongTermTrend_V0034 vs TSLA Buy & Hold
LongTermTrend_V0034 TSLA Buy & HoldIn-sampleValidationHidden test
Growth of $100 · log scale · in-sample, validation and hidden-test segments are shaded separately and must not be compared as one out-of-sample track record.
Walk-Forward Years
year-by-year stability matters more than any single year
| Year | CAGR | Sharpe | Max DD | Trades |
|---|---|---|---|---|
| 2016 | -7.1% | -1.91 | -7.3% | 1 |
| 2017 | 39.6% | 1.17 | -23.4% | 2 |
| 2018 | -32.2% | -1.89 | -38.7% | 6 |
| 2019 | -0.4% | 0.09 | -28.3% | 3 |
| 2020 | 401.6% | 3.07 | -45.2% | 1 |
| 2021 | 26.7% | 0.70 | -41.7% | 5 |
| 2022 | -45.0% | -1.53 | -44.9% | 7 |
A robust strategy performs acceptably in most years rather than spectacularly in one — look for consistency across regimes, not a single outlier year.
Regime Performance
| Period | Regime | Days | Ann. Return | Sharpe | Exposure |
|---|---|---|---|---|---|
| hidden test | DOWNTREND | 267 | -24.9% | -2.69 | 3% |
| hidden test | EXPENSIVE | 83 | 162.7% | 2.38 | 96% |
| hidden test | EXTREME | 48 | 165.0% | 4.52 | 41% |
| hidden test | HIGH VOLATILITY | 254 | 48.0% | 1.16 | 23% |
| hidden test | LOW VOLATILITY | 429 | -11.3% | -0.40 | 52% |
| hidden test | MEDIUM VOLATILITY | 248 | -70.4% | -1.92 | 42% |
| hidden test | NORMAL | 800 | -39.4% | -1.39 | 36% |
| hidden test | SIDEWAYS | 293 | -61.5% | -1.70 | 53% |
| hidden test | UPTREND | 371 | 39.2% | 0.91 | 60% |
| train | DOWNTREND | 518 | -22.6% | -1.42 | 1% |
| train | EXPENSIVE | 311 | 112.7% | 2.26 | 99% |
| train | EXTREME | 100 | 206.9% | 5.54 | 39% |
| train | HIGH VOLATILITY | 699 | 14.4% | 0.36 | 37% |
| train | LOW VOLATILITY | 745 | 24.8% | 0.97 | 58% |
| train | MEDIUM VOLATILITY | 568 | -12.4% | -0.37 | 54% |
| train | NORMAL | 1,601 | -21.4% | -0.75 | 41% |
| train | SIDEWAYS | 592 | -13.7% | -0.40 | 46% |
| train | UPTREND | 902 | 45.8% | 1.15 | 79% |
| validation | DOWNTREND | 125 | -20.2% | -2.54 | 3% |
| validation | EXPENSIVE | 138 | 171.5% | 2.60 | 95% |
| validation | EXTREME | 144 | 215.9% | 4.89 | 38% |
| validation | HIGH VOLATILITY | 258 | 92.2% | 1.49 | 46% |
| validation | LOW VOLATILITY | 183 | 26.9% | 0.89 | 74% |
| validation | MEDIUM VOLATILITY | 315 | 53.5% | 1.06 | 68% |
| validation | NORMAL | 474 | -19.4% | -0.41 | 60% |
| validation | SIDEWAYS | 206 | -51.4% | -1.01 | 68% |
| validation | UPTREND | 425 | 138.1% | 2.41 | 77% |
Trades (full period)
65 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-05-21 | 2026-06-08 | $417.85 | $408.95 | -6.48% | 12 | |
| 2026-05-08 | 2026-05-20 | $428.35 | $417.26 | -2.06% | 9 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2026-03-17 | 2026-03-19 | $399.27 | $380.30 | -0.90% | 3 | |
| 2025-09-04 | 2026-03-16 | $338.53 | $395.56 | 16.86% | 133 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-11 | 2025-08-21 | $339.03 | $320.11 | -1.94% | 9 | |
| 2025-07-29 | 2025-07-31 | $321.20 | $308.27 | -2.21% | 3 | |
| 2025-07-17 | 2025-07-25 | $319.41 | $316.06 | -5.28% | 7 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -2.13% | 2 | |
| 2025-07-03 | 2025-07-08 | $315.35 | $297.81 | -7.06% | 3 | |
| 2025-06-10 | 2025-07-02 | $326.09 | $315.65 | -2.74% | 16 | |
| 2025-05-12 | 2025-06-06 | $318.38 | $295.14 | -4.73% | 19 | |
| 2025-04-30 | 2025-05-01 | $282.16 | $280.52 | -3.58% | 2 | |
| 2025-03-26 | 2025-03-27 | $272.06 | $273.13 | -5.77% | 2 | |
| 2024-10-07 | 2025-03-05 | $240.83 | $279.10 | 17.37% | 102 | |
| 2023-11-14 | 2024-01-12 | $237.41 | $218.89 | 1.37% | 41 | |
| 2023-11-08 | 2023-11-10 | $222.11 | $214.65 | -5.68% | 3 | |
| 2023-11-06 | 2023-11-07 | $219.27 | $222.18 | -0.51% | 2 | |
| 2023-10-25 | 2023-10-26 | $212.42 | $205.76 | -2.09% | 2 | |
| 2023-08-01 | 2023-10-23 | $261.07 | $212.08 | -20.89% | 59 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-08-04 | 2022-08-08 | $308.63 | $290.42 | -6.44% | 3 | |
| 2022-05-04 | 2022-05-06 | $317.54 | $288.55 | -4.14% | 3 | |
| 2022-03-18 | 2022-04-27 | $301.80 | $293.84 | 0.36% | 28 | |
| 2022-03-10 | 2022-03-11 | $279.43 | $265.12 | -2.60% | 2 | |
| 2022-03-01 | 2022-03-07 | $288.12 | $268.19 | -3.89% | 5 | |
| 2021-07-29 | 2022-02-23 | $225.78 | $254.68 | 26.73% | 145 | |
| 2021-06-18 | 2021-07-28 | $207.77 | $215.66 | 4.36% | 28 | |
| 2021-06-11 | 2021-06-16 | $203.30 | $201.62 | -1.96% | 4 | |
| 2021-05-25 | 2021-06-04 | $201.56 | $199.68 | -5.73% | 8 | |
| 2021-05-17 | 2021-05-18 | $192.28 | $192.62 | -2.39% | 2 | |
| 2020-03-20 | 2021-05-14 | $28.50 | $196.58 | 412.00% | 291 | |
| 2019-11-19 | 2020-03-19 | $23.97 | $28.51 | 3.45% | 83 | |
| 2019-03-01 | 2019-03-04 | $19.65 | $19.02 | -8.04% | 2 | |
| 2019-02-06 | 2019-02-08 | $21.15 | $20.39 | -4.50% | 3 | |
| 2019-01-07 | 2019-01-22 | $22.33 | $19.93 | -5.04% | 11 | |
| 2018-12-27 | 2019-01-03 | $21.08 | $20.02 | -5.09% | 5 | |
| 2018-11-27 | 2018-12-26 | $22.93 | $21.74 | -14.80% | 20 | |
| 2018-08-27 | 2018-08-29 | $21.28 | $20.33 | -3.59% | 3 | |
| 2018-03-13 | 2018-03-15 | $22.79 | $21.71 | -5.65% | 3 | |
| 2018-02-23 | 2018-03-02 | $23.47 | $22.34 | -4.59% | 6 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -8.82% | 2 | |
| 2018-01-09 | 2018-02-06 | $22.25 | $22.26 | -1.17% | 20 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.32% | 10 | |
| 2017-01-04 | 2017-11-03 | $15.13 | $20.41 | 41.33% | 212 | |
| 2016-12-28 | 2017-01-03 | $14.65 | $14.47 | -2.85% | 4 | |
| 2016-08-12 | 2016-08-30 | $15.04 | $14.09 | -4.51% | 13 | |
| 2015-12-30 | 2016-01-05 | $15.87 | $14.90 | -6.00% | 4 | |
| 2015-12-02 | 2015-12-03 | $15.47 | $15.51 | -2.39% | 2 | |
| 2015-08-28 | 2015-10-09 | $16.57 | $14.71 | -6.88% | 30 | |
| 2015-05-13 | 2015-08-25 | $16.21 | $14.67 | -10.75% | 73 | |
| 2014-10-29 | 2014-12-02 | $15.87 | $15.43 | -4.78% | 24 | |
| 2012-11-19 | 2014-10-28 | $2.19 | $16.18 | 289.18% | 489 | |
| 2012-11-14 | 2012-11-16 | $2.09 | $2.12 | -2.69% | 3 | |
| 2012-11-06 | 2012-11-12 | $2.08 | $2.07 | -3.94% | 5 | |
| 2012-07-06 | 2012-07-24 | $2.07 | $1.99 | -2.02% | 13 | |
| 2012-06-19 | 2012-07-03 | $2.14 | $2.04 | -4.71% | 11 | |
| 2012-05-30 | 2012-06-01 | $2.03 | $1.88 | -7.10% | 3 | |
| 2012-05-23 | 2012-05-29 | $2.07 | $2.11 | -3.41% | 4 | |
| 2012-01-26 | 2012-05-16 | $1.93 | $1.95 | 5.01% | 78 | |
| 2012-01-11 | 2012-01-17 | $1.88 | $1.77 | -17.65% | 4 | |
| 2012-01-04 | 2012-01-06 | $1.85 | $1.79 | -3.61% | 3 |